Other sites

1617 search results for "Regression"

A primary problem data scientists face again and again is: how to properly adapt or treat variables so they are best possible components of a regression. Some analysts at this point delegate control to a shape choosing system like neural nets. I feel such a choice gives up far too much statistical rigor, transparency and
Related posts:

One popular trend in presenting results is the "coefficient plot," an alternative to the table of regression coefficients. I am seeing this a little more often in political science research and have received a few requests for code, so I … Contin...

The bug-fix in version 0.9.12 of Rcpp
turned out to be incomplete, so a new version 0.9.13 is now on CRAN and will get to Debian shortly.
The Rcpp::Enviroment constructor is now properly fixed (using
the global environment as a default value). As ...

I googled for this once upon a time and nothing came up. Hopefully this saves someone ten minutes of digging about in the documentation.
You make identity matrices with the keyword diag, and the number of dimensions in parentheses.
> diag(3)
[,...

I want to continue with Factor Attribution theme that I presented in the Factor Attribution post. I have re-organized the code logic into the following 4 functions: factor.rolling.regression – Factor Attribution over given rolling window factor.rolling.regression.detail.plot – detail time-series plot and histogram for each factor factor.rolling.regression.style.plot – historical style plot for selected 2 factors factor.rolling.regression.bt.plot

In response to Where are the Fat Tails?, reader vonjd very helpfully referred me to this paper The Trend is Not Your Friend! Why Empirical Timing Success is Determined by the Underlying’s Price Characteristics and Market Efficiency is Irrelevant by P...

I knew R was versatile, but DANG, people do a lot with it: > > … I don’t think anyone actually believes that R is designed to make *everyone* happy. For me, R does about 99% of the things I … Continue reading →

Some time ago I read a nice post Solving easy problems the hard way where linear regression is used to solve an interesting puzzle. Following the idea I used rpart to find optimal decision tree sorting five elements.It is well known that...

I will be giving a short course in Switzerland next week, at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The long...

I came across a very descriptive visualization of the Factor Attribution that I will replicate today. There is the Three Factor Rolling Regression Viewer at the mas financial tools web site that performs rolling window Factor Analysis of the “three-factor model” of Fama and French. The factor returns are available from the Kenneth R French: